| A proxy server acts as a relay between you and the internet. If your proxy server has a cache, it may store the webpages you are visitng, and thus improving the response-time. It can also be used as a dynamic selector if your ISP has a whole lot of servers, the proxy gently selects one to (for example) minimise cpu intensity on one server.
However, a proxy can also be used as a filter, which may hinder you in grabbing that porn you were so eager to watch, or, blocking files (vira (the real plural of "virus"), warez etc). The latter proxies are most common in educational areas, universities/schools etc. For example, in the United Arab Emirates, the main ISP makes all users use a proxy server which blocks sites with "unsuitable material". It does this using the meta tags in the HTML code used to make the web page. | 
